Assep princing workshop 2

This Jupyter Notebook describes all the code required to the Asset pricing workshop 2

It is noticed that for some variables there few missing values such as: MTUM, ESGU, SECT, and LRGF.

The ETF with higher standard deviation is the VGT.

The ETF with the higher simple return is VGT with 0.015731 (1.573%). And the ETF with the higher standard deviation is XBI with 0.0853.

The ETF with the higher log return is VGT also with 0.014505 (1.4505%). And the ETF with the higher standard deviation is XBI also with 0.086356.

1.1. To determine the statically significance of factors

According to the p value observed in the last table the factors ERP, SMB, HML and MOM showed to be statically different from zero. Which means that all the factors mentioned could give additional information about the ETF returns. Also, there is evidence that the returns provident by the ETF are statistically different from zero.

1.2. To calculate the returns in excess from each ETF.

1.3. Evaluating the ETF performance

Treynor ratio

Fama and French 3 factors model

Fama and French 3 factors model including momentum